Subject: Academic Factors and Microcaps
I made a version of this P123 microcap screen using gtr1. Matching the CAGR was easy. Matching the turnover required some extra steps.
https://community.portfolio123...
Microcap screen results are very sensitive to transaction costs. For this screen, most of the picks have less than $500k dollar volume, and so 1% friction or higher might be expected.
Command Translation
Define {MicroCap_AcademicFactors_20230728_P123}
Create [Mo]: [Total Return % over 231 days; lag=21 days]
Create [Surprise]: [SI Quarterly Surprise-Percent; lag=1 days]
Create [BETA]: [TR5-Beta vs S&P500 over 51 periods; lag=1 days]
Create [r1]: [Rank by [MktCap] (Desc) at step4]
Create [r2]: [Rank by [BP] (Asc) at step4]
Create [r3]: [Rank by [Mo] (Asc) at step4]
Create [r4]: [Rank by [Surprise] (Asc) at step4]
Create [r5]: [Rank by [BETA] (Desc) at step4]
Create [rankAll]: [[r1] + [r2] + [r3] + [r4] + [r5]]
step0: [Security Type; lag=1 days] == 10,11,12
step1: [Mkt Days Since Security Opened; lag=1 days] >= 255
step2: [MktCap] Bottom 50%
step3: [Average dollar-volume over 10 days; lag=1 days] > 100000
step4: [rankAll] Top 100
step5: [rankAll] Top 20
Holding period = 5 mkt days
Hold while passing step4
Hold for at least 12 holding periods
Frictional loss of 0.4% applied to all sales
Rebalance to equal weight among new positions only
P123 gtr1
turnover 2.18 2.92
CAGR 32% 27%
Sharpe 0.93 0.81
MDD -65% -62%
year P123 gtr1
2013 74 43
2014 15 17
2015 109 17
2016 49 19
2017 -5 5
2018 -2 -11
2019 24 34
2020 164 373
2021 55 45
2022 -14 -5
avg 47 54
sd 56 114
https://gtr1.net/2013/?~MicroC...
=================
dv10_from to Count Slippage Friction
0 250,000 126 0.65% 1.39%
250,000 500,000 312 0.51% 1.11%
500,000 1,000,000 1762 0.31% 0.73%
1,000,000 2,500,000 4138 0.16% 0.42%
2,500,000 max 17622 0.01% 0.12%
http://www.datahelper.com/mi/s...
"The slippage is set according to where the average falls in this table:
0 - $50K → 5%
$50K - $100K → 1.5%
$100K - $350K → 0.75%
$350K - $1M → 0.5%
$1M - $5M → 0.25%
$5M+ → 0.1%"
https://community.portfolio123...